Implicit Taylor methods for stiff stochastic differential equations (Q5939898)

Three implicit numerical methods are presented for approximating the solution of a stiff Itô stochastic differential equation of the form NEWLINE\[NEWLINEdy(t)= f(y(t)) dt+ \sum^d_{j=1} g_i(y(t)) dW_j(t),\quad y(t_0)= y_0,NEWLINE\]NEWLINE where \(W_j(t)\), \(j= 1,\dots, d\), are independent Wiener processes.NEWLINENEWLINENEWLINEThe first, called the implicit Euler-Taylor method (IET), is shown to have strong convergence of order .5 and a superior region of mean square stability when compared to its corresponding explicit and semi-explicit methods.NEWLINENEWLINENEWLINEThe second called the implicit Milstein-Taylor method (IMT), is shown to have strong convergence of order 1.0 and a superior region of mean square stability when compared to its corresponding explicit and semi-explicit method, but a slightly inferior region as a compared to the IET method.NEWLINENEWLINENEWLINEThe third, called the implicit 1.5 Taylor, is shown to have strong convergence of order 1.5, but an inferior region of mean square stability when compared to its corresponding semi-explicit method and a very inferior region when compared to the IET and IMT methods.NEWLINENEWLINENEWLINEThe paper concludes by giving numerical results for two test equations.